Score tests for heteroscedasticity in wavelet regression

• 成果类型: Article
• 署名作者: Cai, ZW; Hurvich, CM; Tsai, CL
• 署名单位: Missouri State University; New York University; University of California System; University of California Davis
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/85.1.229
• 发表日期: 1998
• 页码: 229234
• 关键词: Shrinkage

摘要

We consider two Score tests for heteroscedasticity in the errors of a signal;plus-noise model, where the signal is estimated;by wavelet thresholding methods. The error variances are assumed to depend on observed covariates, through a parametric relationship of known form. The tests are based on the approaches of Breusch & Pagan (1979) and Koenker (1981). We establish the asymptotic validity of the tests and examine their performance in a simulation study. The Koenker test is found to perform well, in terms of both size and power.